This is a bit DSP-related: so if you turn your non-stationary time series into a stationary process, you'll probably see that it is not periodic.. This is an issue for Fourier-based techniques because ...

I am fitting numerically an AR(1)/GARCH(1,1) process to index and stock log-returns, $r_t=\log(P_t/P_{t-1})$, where $P_t$ is the price at time $t$, and thus far am not clear on where the observed log ...

How is the MA model useful in modeling financial data, for example the stock indices?
For example, from what i understand in the AR (auto-regressive) model portion, we can use the ADF test to check ...

I wonder if I first filter out AR(1) (autoregressive model with lag 1) effects from univariate time series and then fit stochastic volatility model does above procedure introduce any bias at first or ...